How to make an action that contains keyframes from 2 or more different objects?
You could select two or more different actions in the NLA editor to create a meta strip of actions by pressing Shift + G. All the actions of a meta strip will move together inside the editor, which is what I think you wanted.

You can read more about the NLA editor at http://wiki.blender.org/index.php/User:Rking/Doc:2.6/Manual/Animation/Editors/NLA